Calculates the gross redemption yield of a fixed interest bond on an interest bearing date where there is an integer number of years until redemption (i.e. maturity).
public double GrossRedemptionYieldWithResultUpperLimitAndAccuracySetWithExplicitTime( doubleprice, doublecoupon, intredemption, doubleupperLimit, doubleprecision );
Parameters
price
The current market price of the bond.
coupon
The coupon per annum paid by the fixed interest bond convertible half-yearly.
redemption
The integer number of years until redemption (i.e. maturity). For example, 1 would implied that there is exactly 1 year until the bond matures.
upperLimit
The upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.
precision
The accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.
Return Value
The gross redemption yield in decimal format (i.e. 1 percent = 0.01)
Remarks
That is, the total
(annual) yield of the fixed interest bond from now until maturity where the tax implications
of the investor are not taken into account. This procedure offers the same functionality as the
method (double,double, int) except
that here the internal equation solving algorithms parameters can be set. That is, the upper bound of
the interval over which the yield is sort and the precision of the returned valued can be specified.
Remarks:
In order to find the gross redemption yield we are required to solve an
equation of one variable (see PDF documentation for details). We find the solution of this equation
be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm
parameters such as the upper bound of the solution and the precision used.
The gross redemption yield is often used within the UK gilt market.